Trademind/tests/test_engine.py

import numpy as np
import pytest

from trademind.backtest import BacktestRunner, trades_csv
from trademind.broker import PaperBroker
from trademind.config import Config
from trademind.data import DataFeed
from trademind.engine import TradingEngine
from trademind.features import N_FEATURES
from trademind.models import Candles, ExitReason, Side
from trademind.portfolio import Portfolio
from trademind.risk import RiskManager
from trademind.storage import NullStorage, Storage
from trademind.strategy import build_strategy

from .conftest import make_candles


class StaticFeed(DataFeed):
    """Liefert immer dasselbe Fenster – für Tests, die den Feed nicht brauchen."""

    def __init__(self, candles: Candles | None = None) -> None:
        self.candles = candles

    async def fetch(self, symbol: str, timeframe: str, limit: int) -> Candles:
        if self.candles is None:
            raise AssertionError("Feed sollte in diesem Test nicht abgefragt werden")
        return self.candles


class GrowingFeed(DataFeed):
    """Gibt bei jedem Abruf ein um eine Kerze längeres Fenster zurück (simuliert Live-Betrieb)."""

    def __init__(self, candles: Candles, start: int) -> None:
        self.full = candles
        self.cursor = start
        self.calls = 0

    async def fetch(self, symbol: str, timeframe: str, limit: int) -> Candles:
        self.calls += 1
        stop = min(self.cursor, len(self.full))
        start = max(0, stop - limit)
        return self.full.slice(start, stop)

    def advance(self) -> None:
        self.cursor += 1


def build_engine(config: Config, feed: DataFeed | None = None, storage=None) -> TradingEngine:
    broker = PaperBroker(config.paper)
    strategy = build_strategy(config.strategy, N_FEATURES, seed=3, load_model=False)
    learner = getattr(strategy, "learner", None)
    if learner is not None:
        learner.autosave = False
    return TradingEngine(
        config=config,
        broker=broker,
        feed=feed or StaticFeed(),
        strategy=strategy,
        portfolio=Portfolio(config.paper.starting_balance, config.paper.quote_currency),
        risk=RiskManager(config.risk),
        storage=storage or NullStorage(),
    )


def cyclical_series(symbol: str = "BTC/USDT", n: int = 900, seed: int = 4) -> Candles:
    """Schwingender Verlauf – erzeugt zuverlässig Ein- und Ausstiegssignale."""
    return make_candles(symbol=symbol, n=n, trend=0.0001, noise=0.0015, cycle=0.0025,
                        cycle_period=60, seed=seed)


# ------------------------------------------------------------------ Backtest


async def test_backtest_runs_and_produces_trades(base_config):
    engine = build_engine(base_config)
    await engine.prepare()
    report = await BacktestRunner(engine, {"BTC/USDT": cyclical_series()}, progress_every=0).run()

    assert report.bars > 0
    assert report.portfolio["trades"] > 0
    assert engine.portfolio.positions == {}          # am Ende glattgestellt
    assert report.portfolio["equity"] > 0


async def test_cash_and_equity_stay_consistent(base_config):
    engine = build_engine(base_config)
    await engine.prepare()
    await BacktestRunner(engine, {"BTC/USDT": cyclical_series()}, progress_every=0).run()

    cash = await engine.broker.cash()
    realized = sum(t.pnl_quote for t in engine.portfolio.trades)
    assert cash == pytest.approx(base_config.paper.starting_balance + realized, abs=1e-6)
    assert cash >= 0.0


async def test_stop_loss_bounds_the_worst_trade(base_config):
    # Bewusst ohne Lernmodell: Geprüft wird die Stop-Logik, nicht welche Signale das
    # Modell gerade durchlässt. Mit "adaptive" hinge das Ergebnis daran, wie weit das
    # Modell aufgewärmt ist – das hat mit Stops nichts zu tun.
    config = Config.model_validate(
        {**base_config.model_dump(),
         "strategy": {"name": "rules"},
         "risk": {**base_config.risk.model_dump(),
                  "stop_loss_atr_mult": 1.0,
                  "take_profit_atr_mult": 10.0}}
    )
    engine = build_engine(config)
    await engine.prepare()
    await BacktestRunner(engine, {"BTC/USDT": cyclical_series()}, progress_every=0).run()

    stopped = [t for t in engine.portfolio.trades if t.exit_reason is ExitReason.STOP_LOSS]
    assert stopped, "Bei engem Stop sollten Stop-Ausstiege vorkommen"
    for trade in stopped:
        assert trade.pnl_pct > -0.25  # ein Stop begrenzt den Verlust deutlich


async def test_position_limit_is_never_exceeded(base_config):
    config = Config.model_validate(
        {
            **base_config.model_dump(),
            "market": {**base_config.market.model_dump(), "symbols": ["BTC/USDT", "ETH/USDT", "SOL/USDT"]},
            "risk": {**base_config.risk.model_dump(), "max_open_positions": 2},
        }
    )
    engine = build_engine(config)
    await engine.prepare()

    observed_max = 0
    original = engine.process_bar

    async def spy(symbol, snapshot, bar):
        nonlocal observed_max
        await original(symbol, snapshot, bar)
        observed_max = max(observed_max, len(engine.portfolio.positions))

    engine.process_bar = spy  # type: ignore[method-assign]
    series = {
        "BTC/USDT": cyclical_series("BTC/USDT", seed=4),
        "ETH/USDT": cyclical_series("ETH/USDT", seed=5),
        "SOL/USDT": cyclical_series("SOL/USDT", seed=6),
    }
    await BacktestRunner(engine, series, progress_every=0).run()
    assert observed_max <= 2


async def test_learner_collects_samples_during_a_backtest(base_config):
    engine = build_engine(base_config)
    await engine.prepare()
    await BacktestRunner(engine, {"BTC/USDT": cyclical_series()}, progress_every=0).run()

    learner = engine.strategy.learner
    assert learner.stats.samples_seen > 0
    assert learner.stats.trade_samples > 0     # aus echten Trades gelernt
    assert learner.stats.shadow_samples > 0    # und aus nicht gehandelten Signalen
    assert learner.stats.updates > 0


async def test_rules_strategy_needs_no_learner(base_config):
    config = Config.model_validate({**base_config.model_dump(), "strategy": {"name": "rules"}})
    engine = build_engine(config)
    await engine.prepare()
    report = await BacktestRunner(engine, {"BTC/USDT": cyclical_series()}, progress_every=0).run()
    assert report.strategy == {"strategy": "rules"}


async def test_higher_threshold_trades_less(base_config):
    def run_config(threshold: float) -> Config:
        learner = {**base_config.strategy.learner.model_dump(),
                   "entry_threshold": threshold, "exploration_rate": 0.0, "warmup_samples": 30}
        return Config.model_validate(
            {**base_config.model_dump(),
             "strategy": {**base_config.strategy.model_dump(), "learner": learner}}
        )

    rates = []
    for threshold in (0.0, 0.95):
        engine = build_engine(run_config(threshold))
        await engine.prepare()
        await BacktestRunner(engine, {"BTC/USDT": cyclical_series()}, progress_every=0).run()
        assert engine.strategy.candidates_seen >= 10, "zu wenige Signale für einen Vergleich"
        rates.append(engine.strategy.candidates_accepted / engine.strategy.candidates_seen)

    assert rates[0] == pytest.approx(1.0)   # Schwelle 0 lässt alles durch
    assert rates[1] < rates[0]              # hohe Schwelle filtert


async def test_trades_csv_has_one_row_per_trade(base_config):
    engine = build_engine(base_config)
    await engine.prepare()
    await BacktestRunner(engine, {"BTC/USDT": cyclical_series()}, progress_every=0).run()
    lines = trades_csv(engine).strip().splitlines()
    assert len(lines) == len(engine.portfolio.trades) + 1


async def test_short_series_is_rejected(base_config):
    engine = build_engine(base_config)
    await engine.prepare()
    with pytest.raises(ValueError, match="genug Kerzen"):
        await BacktestRunner(engine, {"BTC/USDT": make_candles(n=50)}, progress_every=0).run()


# ----------------------------------------------------------- Live-artiger Loop


async def test_tick_only_acts_on_new_bars(base_config):
    series = cyclical_series(n=400)
    feed = GrowingFeed(series, start=300)
    engine = build_engine(base_config, feed=feed)
    await engine.prepare()

    await engine._tick(300)
    first = dict(engine.bar_counter)
    await engine._tick(300)                      # keine neue Kerze
    assert engine.bar_counter == first

    feed.advance()
    await engine._tick(300)
    assert engine.bar_counter["BTC/USDT"] == first["BTC/USDT"] + 1


async def test_bootstrap_trains_the_model_from_history(base_config):
    """Ein Kaltstart muss das Modell aus der Historie vorlernen, nicht tagelang warten."""
    series = cyclical_series(n=900)
    engine = build_engine(base_config, feed=GrowingFeed(series, start=900))
    await engine.prepare()
    assert engine.strategy.learner.ready is False

    await engine.bootstrap_learner()

    learner = engine.strategy.learner
    assert learner.stats.samples_seen > base_config.strategy.learner.warmup_samples
    assert learner.ready is True
    assert engine.portfolio.trades == []              # Vorlernen handelt nicht
    assert engine.bar_counter["BTC/USDT"] > 0         # Zähler schließt an die Historie an
    assert engine.last_bar_ts["BTC/USDT"] == int(series.timestamp[engine.bar_counter["BTC/USDT"]])


async def test_bootstrap_is_skipped_for_a_trained_model(base_config):
    engine = build_engine(base_config, feed=GrowingFeed(cyclical_series(n=900), start=900))
    await engine.prepare()
    for _ in range(base_config.strategy.learner.warmup_samples):
        engine.strategy.learner.observe(np.zeros(N_FEATURES), 1.0)
    seen = engine.strategy.learner.stats.samples_seen

    await engine.bootstrap_learner()
    assert engine.strategy.learner.stats.samples_seen == seen


async def test_bootstrap_survives_a_broken_feed(base_config):
    class BrokenFeed(DataFeed):
        async def fetch(self, symbol, timeframe, limit):
            raise RuntimeError("Börse nicht erreichbar")

    engine = build_engine(base_config, feed=BrokenFeed())
    await engine.prepare()
    await engine.bootstrap_learner()  # darf nicht werfen
    assert engine.strategy.learner.ready is False


async def test_tick_waits_for_enough_history(base_config):
    feed = GrowingFeed(cyclical_series(n=400), start=60)
    engine = build_engine(base_config, feed=feed)
    await engine.prepare()
    await engine._tick(300)
    assert engine.bar_counter["BTC/USDT"] == 0   # Indikatoren noch nicht warm


# --------------------------------------------------------------- Persistenz


async def test_state_survives_a_restart(base_config, tmp_path):
    storage = Storage(tmp_path / "state.sqlite3")
    config = Config.model_validate({**base_config.model_dump(), "mode": "paper"})
    engine = build_engine(config, feed=StaticFeed(), storage=storage)
    await engine.prepare()

    # Position künstlich eröffnen und Zustand sichern.
    fill = await engine.broker.execute("BTC/USDT", Side.BUY, 0.05, 30_000.0)
    engine.portfolio.open_position(
        fill, stop_loss=29_000.0, take_profit=32_000.0,
        features=np.ones(N_FEATURES), confidence=0.7, exploratory=False,
    )
    engine._cash = await engine.broker.cash()
    engine._persist_state()

    revived = build_engine(config, feed=StaticFeed(), storage=storage)
    await revived.prepare()

    assert "BTC/USDT" in revived.portfolio.positions
    restored = revived.portfolio.positions["BTC/USDT"]
    assert restored.amount == pytest.approx(0.05)
    assert restored.stop_loss == pytest.approx(29_000.0)
    assert restored.entry_features is not None
    assert await revived.broker.cash() == pytest.approx(await engine.broker.cash())
    storage.close()


async def test_state_from_another_mode_is_ignored(base_config, tmp_path):
    storage = Storage(tmp_path / "state.sqlite3")
    paper = Config.model_validate({**base_config.model_dump(), "mode": "paper"})
    engine = build_engine(paper, storage=storage)
    await engine.prepare()
    engine._persist_state()

    backtest = Config.model_validate({**base_config.model_dump(), "mode": "backtest"})
    other = build_engine(backtest, storage=storage)
    await other.prepare()
    assert other.portfolio.positions == {}
    storage.close()


async def test_trades_are_written_to_the_database(base_config, tmp_path):
    storage = Storage(tmp_path / "trades.sqlite3")
    engine = build_engine(base_config, storage=storage)
    await engine.prepare()
    await BacktestRunner(engine, {"BTC/USDT": cyclical_series()}, progress_every=0).run()

    assert storage.trade_count() == len(engine.portfolio.trades)
    per_symbol = storage.performance_by_symbol()
    assert per_symbol and per_symbol[0]["symbol"] == "BTC/USDT"
    storage.close()


# ------------------------------------------------------------------- Status


async def test_status_payload_is_serialisable(base_config):
    engine = build_engine(base_config)
    await engine.prepare()
    await BacktestRunner(engine, {"BTC/USDT": cyclical_series(n=400)}, progress_every=0).run()

    import json

    status = engine.status()
    json.dumps(status, default=str)  # darf nicht werfen
    assert status["mode"] == "backtest"
    assert "portfolio" in status and "strategy" in status
    assert len(status["feature_weights"]) == N_FEATURES